All great advice. Also, "The World Builder's Guidebook (AD&D 2E) is a great source. While the PDF referrenced above has a couple of the types of creations methods there are others.
One thing to remember, though, is that the players will have as much of an impact on the way the world shapes up as you as the the DM does. Things you need:
A rough map of the world (You have that so you can check that off)
A rough idea of the cosmology (You have that so you can check that off (see you're doing better than you thought))
A semi-defined pantheon (See #1 below)
A very rough idea of the cultures that populate the world (See #2)
Any special things that separate your world from the typical (multiple moos, suns, lack of oceans, etc) (See #3)
A very well defined starting area and the surrounding locales (See #4)
My tips and tricks:
#1: Gods make the world go 'round - Even if the majority of your PC are anti-religion, a firmly defined theological starting point gives character and definition to your world, if for nothing else, as something for the PCs to mock. If you have a group that has a paladin, a druid or priest of any cloth, this is an absolute must. Why? Does the paladin get afforded any extras due to his station, how about the druid, is she accepted or shunned as an ecological terroist? And the priest, is his religion excepted or not? Must he preach and convert or just shepard the flock? Or is he a special holy warrior, answering the call of the faith to defend it from hereasy and demonic influence? And don't forget Holy days (holidays) because everyone needs a reason to party.
#2: Wherever you start the party from, that where they are. (oooh esoteric) - Is the country a kingdom set in the Middle Ages similar to Europe? Or pehaps a Hunic society based on Attila and the Great Hordes? Maybe Feudal Japan, or Ancient China or... you get the picture. Wherever the party is from needs to be fleshed out pretty tightly. Yes there is room to grow, but the gerenal sense of societal cohesion is needed. Everywhere else should be roughly figured out (to include religion from step one) but not so tightly defined. As the campaign progresses, the characters can hear rumors from distant lands from traders and travelers (good reason for that Gather Information skill or Knowledge (Foreign History) or even Diplomacy)
#3: Strange new worlds.. - Anything that sets your world apart should be stated at the BEGINNING of the campaign and should be explained in detail. Not necessarily as to the why but definately the what. /Case in point, in my own world NONE of the players have ever heard of an ocean (they all come from land locked societies). Recently they found a map and couldn't decifer what this Oh-SEE-an thing was. They role played it to the hilt and scored bonus XP. It was even funnier when someone, later, tried to explain ships./ Little things like this are memorable and can add that extra spice to your RP. So if your world has two suns, make sure there is at least a fable or myth as to why.
#4: For ages and ages past... - If a player has grown up in Podunk his/her entire life, he/she should probably be familiar with the surrounding wildlife, rumors, monsters, bandits, politics, etc. It doesn't have to be in-depth, but it MUST be intimate. Beliefs, legends, lore and myths all form that backbone that a society is formed around. If the party is going to be adventuring from a single base of operations, that place must be known nearly like the back of their hands, especially if its a SMALL town. /Coming from a small town in the midwest, I can tell you I knew nearly everyone, and this is in the modern era where trust and help aren't as neccesary in a time of little or no technology, where building a house takes months not days and growing crops is a full-time job (and its no picnic now). /
#5: Let the crowd decide His fate, I wash my hands of it... - When it is all said and done, listen to your players. If they just want to kill monsters, a lot of preparation isn't neccesary (other than the site of course). A list of NPC names, a few towns and where shops are located to buy more stuff is about all they need. A tavern to get jobs and a nobleman to pay them for a job well done (or hunt them down if they screw it up). If they want the crunchy bits, give them the works, if they don't, don't try to force feed it, they just choke on it. /See Nodwick.com for an example of the hack n' slay party gone bad/
Hopefully this helps...Happy gaming
